Centre Fellows
Oliver Linton
University of Cambridge
Oliver is Professor of Political Economy at Cambridge University. His research interests include econometric theory, nonparametric and semiparametric methods and empirical finance.
Selected Publications
The so-called leverage hypothesis is that negative shocks to prices/ returns affect volatility more than equal […]
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We examine a kernel regression smoother for time series that takes account of the error correlation […]
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This paper considers the class of p-dimensional elliptic distributions (p ≥ 1) satisfying the consistency property […]
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We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run […]
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This paper develops methodology for semiparametric panel data models in a setting where both the time […]
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This paper proposes efficient estimators of risk measures in a semiparametric GARCH model defined through moment […]
We establish the consistency and asymptotic normality for a class of estimators that are linear combinations […]
We propose a new statistical test of the stochastic dominance efficiency of a given portfolio over […]
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We consider approximating a multivariate regression function by an affine combination of one-dimensional conditional component regression […]
The so-called leverage hypothesis is that negative shocks to prices/returns aff ect volatility more than equal […]